Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time

DOI10.1016/j.cnsns.2021.106023zbMath1474.91196OpenAlexW3197514260MaRDI QIDQ2247035

Regina Da Fonseca, Annibal Figueiredo, Raul Matsushita, Marcio T. De Castro

Publication date: 16 November 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2021.106023

zbMATH Keywords

central limit theoremkurtosisfinancial assetsLévy sections

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Financial markets (91G15)

Cites Work

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• Diffusion equations and the time evolution of foreign exchange rates
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• The Levy sections theorem revisited
• Introduction to Econophysics